Spontaneous symmetry breaking of arbitrage

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• 作者：Jaehyung Choi ; ^{jaehyung.choi@sunysb.edu} ; ^{jj.jaehyung.choi@gmail.com}
• 关键词：Spontaneous symmetry breaking ; Arbitrage modeling ; Momentum strategy
• 刊名：Physica A
• 出版年：2012
• 期刊代码：138_03784371
• 类别：et
• 出版时间：1 June, 2012
• 卷：391
• 期：11
• 页码：3206-3218
• 文件大小：416 K

摘要

We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for a momentum strategy with real historical data. The momentum strategy aided by symmetry breaking shows stronger performance and has a better risk measure than the naive momentum strategy in U.S. and South Korean markets.